Masato Hisakado is a pioneer of in Econophysics. His research includes the random matrix theory , statistics of default portofolios and agent-based model. He has taught at several universities and worked as risk manager.
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Urn Models and Their Applications in Finance
Masato Hisakado
This fascinating book begins with fundamental definitions and notations of urn models before moving on to stochastic processes and applications of urn models in the field of finance. The Pólya urn model is simple but has rich content and diverse applications because it includes correlations. Applications of Pólya models such as phase transitions in nonlinear Pólya models are studied here, and the relation between temporal correlation and phase transition is...
